Credit Risk Exposure Methodology - AVP Credit Risk Exposure Methodology - AVP …

Greenwich Atlantic Associates
in London, England, United Kingdom
Permanent, Full time
Last application, 31 May 20
Up to £75000
Greenwich Atlantic Associates
in London, England, United Kingdom
Permanent, Full time
Last application, 31 May 20
Up to £75000
My client, a top tier investment bank, is immediately seeking to hire an AVP level quant for their Credit Risk Exposure Methodology team in London. The group is responsible for the development of credit models for exposure calculations, credit capital calculations and credit risk rating models for risk management.

THE ROLE

 

Based in London, but working closely with the Global groups, your role responsibilities will include, but won’t be limited to, the following activities:

  • Developing and testing internal CCR exposure models and methodologies across all the asset classes (Equity, Rates, FX, Inflation, Credit, Commodities).
  • Enhancing existing simulation models of market factors and pricing models of derivatives.
  • Prototyping the simulation and pricing models implemented in Production for risk analytics and model assessment.
  • Benchmarking the pricing models in Risk to the models used in trading.
  • Responding to regulators with respect to any request regarding the IMM methodology.
  • Supporting model validation of CCR exposure models globally by delivering quantitative justification and analysis responding to any identified model limitations.
  • Working in advisory capacity to local and global risk managers and Front Office to ensure risk is appropriately captured in the systems.
  • Supporting credit risk stress testing methodologies and framework.

THE CANDIDATE

The ideal candidate will have the following experience:

  • PHD or MSc in a numerical subject or quantitative discipline such as mathematics, physics, engineering, statistics or computing science.
  • Strong programming skills in Python and C++.
  • Familiarity with database and SQL.
  • Theoretical understanding and familiarity with derivative pricing models and stochastic calculus.
  • Strong analytical and problem-solving ability.
  • Good communicational, writing and presentational skills.
  • Experience in a quantitative group at a commercial, investment bank or a consulting firm.

For more information, please contact paul.walton@greenwichatlantic.com or call on 07854918770.

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